Developing trading systems
 Programming your own system from scratch
Perhaps the most challenging approach - but also potentially the most rewarding. If you are skilled in C++ or MS PowerBasic or .Net languages then you may wish to design and build your own custom analysis and trading program. If this is where you intend to start then a great resource for ready made broker API's and other tools is TradeMagic
You can also find useful gems in Elite Traders automation forum at: Elite Trader Automation Forum
As well as the extensive resources available right here in Trade2Win: T2W Mechanical & Systems Trading Forum
Where the amount of data is not too excessive, such as end of day systems, it is possible to build and test these in spreadsheet applications such as Excel.
 Developing a system to run in an existing trading platform
There are several options available to system developers who wish to take advantage of an existing platform environment for constructing and testing a trading strategy. TradeStation is one of the better known platforms, and TickQuest's NeoTicker is another less well known program, though featuring somewhat superior functionality.
Tradestation uses a simple programming launguage called EasyLanguage which is similar in syntax to Delphi, and enables users to construct rules for buying and selling based on anything from a simple moving average cross through to complicated algorithms. NeoTicker has similar flexibility using its own FormulaScript as well as being compatible with most other scripting languages too.
 Order management systems
Neoticker can process signals from your programmed strategy and route them through to a number of compatible brokers, TradeStation however will only route your orders through the TradeStation Securities brokerage. Third party programs are available to take your order generated from a TradeStation strategy and send them to a different broker, or to handle them in ways not supported by TradeStation
 Alternative datafeeds for use with TradeStation
To provide data not currently supported by TradeStation such as Eurex or Liffe data TSsupport (not affiliated with TradeStation) provide a program called OwnData which can be hooked up to a 3rd party data provider such as esignal and will patch this alternative datasource seamlessly into TradeStation.
 Advanced Genetic Optimization tools
Tools for backtesting, genetic optimizing, walk forward testing and fuzzy logic testing to select optimum system parameters that will avoid the trap of curve fitting and ensure your system is robust and will continue to trade profitably in future trading as well as in backtesting.
 Do your own research!
You can investigate what others have said about developing systems and their own experiences by searching through Trade2Win and other trading forums such as: